BTI vs. KMLM

Last updated Jun 13, 2026

BTI (British American Tobacco p.l.c.) is a stock, while KMLM (KFA Mount Lucas Index Strategy ETF) is Systematic Trend fund tracking the KFA MLM Index. Over the past 5 years, BTI returned 17.96%/yr vs 4.11%/yr for KMLM. At a correlation of -0.04, they often move in opposite directions.

Performance

BTI vs. KMLM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in British American Tobacco p.l.c. (BTI) and KFA Mount Lucas Index Strategy ETF (KMLM). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, BTI achieves a 11.67% return, which is significantly higher than KMLM's 8.32% return.

BTI

• 1D: 1.51%
• 1M: -4.26%
• YTD: 11.67%
• 6M: 12.20%
• 1Y: 35.30%
• 3Y*: 34.54%
• 5Y*: 17.96%
• 10Y*: 7.69%

KMLM

• 1D: -0.53%
• 1M: -5.80%
• YTD: 8.32%
• 6M: 9.68%
• 1Y: 13.24%
• 3Y*: -1.51%
• 5Y*: 4.11%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

BTI vs. KMLM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
BTI British American Tobacco p.l.c.	11.67%	65.81%	35.44%	-19.97%	14.91%	7.95%	6.78%
KMLM KFA Mount Lucas Index Strategy ETF	8.32%	-2.98%	-1.69%	-5.66%	30.61%	7.04%	5.74%

Correlation

The correlation between BTI and KMLM is -0.03, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.03
Correlation (3Y) Calculated over the trailing 3-year period	-0.05
Correlation (5Y) Calculated over the trailing 5-year period	-0.05
Correlation (All Time) Calculated using the full available price history since Dec 2, 2020	-0.04

Return for Risk

BTI vs. KMLM — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

BTI

BTI Risk / Return Rank: 81
BTI Sharpe Ratio Rank: 85
BTI Sortino Ratio Rank: 80
BTI Omega Ratio Rank: 77
BTI Calmar Ratio Rank: 81
BTI Martin Ratio Rank: 80

KMLM

KMLM Risk / Return Rank: 36
KMLM Sharpe Ratio Rank: 33
KMLM Sortino Ratio Rank: 31
KMLM Omega Ratio Rank: 32
KMLM Calmar Ratio Rank: 41
KMLM Martin Ratio Rank: 41

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

BTI vs. KMLM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for British American Tobacco p.l.c. (BTI) and KFA Mount Lucas Index Strategy ETF (KMLM). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	BTI	KMLM	Difference
Sharpe ratio: Return per unit of total volatility	1.58	1.06	+0.52
Sortino ratio: Return per unit of downside risk	2.21	1.49	+0.72
Omega ratio: Gain probability vs. loss probability	1.26	1.19	+0.07
Calmar ratio: Return relative to maximum drawdown	2.62	1.78	+0.84
Martin ratio: Return relative to average drawdown	5.89	5.86	+0.03

BTI vs. KMLM - Sharpe Ratio Comparison

The current BTI Sharpe Ratio is 1.58, which is higher than the KMLM Sharpe Ratio of 1.06. The chart below compares the historical Sharpe Ratios of BTI and KMLM, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

BTI vs. KMLM - Drawdown Comparison

The maximum BTI drawdown since its inception was -64.11%, which is greater than KMLM's maximum drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for BTI and KMLM.

Drawdown Indicators

	BTI	KMLM	Difference
Max Drawdown Largest peak-to-trough decline	-64.11%	-27.47%	-36.64%
Max Drawdown (1Y) Largest decline over 1 year	-13.75%	-6.83%	-6.92%
Max Drawdown (3Y) Largest decline over 3 years	-13.75%	-22.28%	+8.53%
Max Drawdown (5Y) Largest decline over 5 years	-29.94%	-27.47%	-2.47%
Max Drawdown (10Y) Largest decline over 10 years	-56.00%	—	—
Current Drawdown Current decline from peak	-6.57%	-15.54%	+8.97%
Average Drawdown Average peak-to-trough decline	-12.93%	-12.74%	-0.19%
Ulcer Index Depth and duration of drawdowns from previous peaks	6.10%	2.10%	+4.00%

Volatility

BTI vs. KMLM - Volatility Comparison

British American Tobacco p.l.c. (BTI) has a higher volatility of 7.53% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 3.35%. This indicates that BTI's price experiences larger fluctuations and is considered to be riskier than KMLM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	BTI	KMLM	Difference
Volatility (1M) Calculated over the trailing 1-month period	7.53%	3.35%	+4.18%
Volatility (6M) Calculated over the trailing 6-month period	18.39%	9.77%	+8.62%
Volatility (1Y) Calculated over the trailing 1-year period	22.78%	11.50%	+11.28%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.16%	14.62%	+6.54%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	24.20%	14.71%	+9.49%

Dividends

BTI vs. KMLM - Dividend Comparison

BTI's dividend yield for the trailing twelve months is around 4.95%, more than KMLM's 4.64% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
BTI British American Tobacco p.l.c.	4.95%	5.29%	8.18%	9.72%	7.23%	7.98%	7.22%	6.35%	8.53%	4.27%	3.85%	4.11%
KMLM KFA Mount Lucas Index Strategy ETF	4.64%	5.02%	0.82%	0.00%	13.22%	6.94%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both BTI and KMLM in my portfolio?

BTI and KMLM have a correlation of -0.03, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, BTI or KMLM?

BTI has higher volatility (7.53%) compared to KMLM (3.35%). In terms of maximum drawdown, BTI dropped -64.11% vs KMLM's -27.47%.

Which has better risk-adjusted returns?

BTI currently has the higher Sharpe Ratio (1.58 vs 1.06), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.